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Hardback

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The study of security market imperfections, namely, the predictability of equity stock returns, is one of the fundamental research areas in financial modeling. In this book leading academics and investment researchers provide a complete and current account of work in this area, including both cross-sectional and time series analyses, as well as measurement of risk and prediction models that have been used by institutional investors. The case studies cover many worldwide markets including the United States, Japan, Asia, and Europe. Invaluable for courses in financial engineering, investment and portfolio management, the volume is also a superb reference for investment professionals seeking an up-to-date source on return predictability.

The most complete and current account of work in this area

Combines empirical results with theoretical models

Comprehensive coverage of the subject from leading academics and investment researchers

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Product details

Date Published: March 2000

format: Hardback

isbn: 9780521571388

length: 560pages

dimensions: 229 x 152 x 35 mm

weight: 0.99kg

contains: 125 b/w illus. 79 tables

availability: Available

Table of Contents

Contributors Preface William T. Ziemba 1. Security market imperfections: an overview Donald B. Keim and William T. Ziemba Part I. An Overview of Cross-Sectional Patterns in Stock Returns:2. The cross-section of common stock returns: a review of the evidence and some new findings Gabriel Hawawini and Donald B. Keim 3. Beta and book to market: is the glass half full or half empty? S. P. Kothari and Jay Shanken 4. The psychology of over-reaction and under-reaction in world equity markets Werner F. M. DeBondt 5. A view of the current status of the size anomaly Jonathan B. Berk 6. The demise of size Elroy Dimson and Paul Marsh 7. Direct evidence of non-trading of NYSE and AMEX stocks Stephen R. Foerster and Donald B. Keim Part II. Seasonal Patterns in Stock Returns and Other Puzzles:8. Is there still a January effect? Donald G. Booth and Donald B. Keim 9. Anticipation in the January effect in the US futures markets Chris R. Hensel and William T. Ziemba 10. How does Clinton stand up to history? US investment returns and presidential party affiliations Chris R. Hensel and William T. Ziemba 11. A long term examination of the turn-of-the-month effect in the S&P500 Chris R. Hensel, Gordon A. Sick and William T. Ziemba 12. The closed-end fund puzzle Carolina Minio-Paluello 13. Stock splits and ex-date returns for Nasdaq stocks: the effects of investor trading and bid-ask spreads Mark Grinblatt and Donald B. Keim Part III. International Evidence:14. Canadian security market anomalies George Athanassakos and Stephen Foerster 15. Seasonal anomalies in the Italian stock market, 1973–1993 Elio Canestrelli and William T. Ziemba 16. Efficiency and anomalies in the Turkish stock market Gulnur Muradoglu 17. Efficiency and anomalies in the Finnish stock market Teppo Martikainen 18. Characteristics-based premia in emerging markets: sector-neutrality, cycles, and cross-market correlations Sandeep A. Patel 19. Anomalies in Asian emerging stock markets Seng-Kee Koh and Kie Ann Wong 20. Japanese security market regularities, 1990–1994 Luis R. Comolli and William T. Ziemba 21. Predicting returns on the Tokyo Stock Exchange Sandra L. Schwartz and William T. Ziemba 22. High stock returns before holidays: international evidence and additional tests Alonso Cervera and Donald B. Keim.

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